Hi,
A few things.
I suspect you are in California. If so, most indoor ranges require that you shoot lead free ammo. Mine does. Winchester winclean is the way to go. Like others have said, 115 grain is just fine.
This is the cheapest I've found and if you like you can get it in bulk:
http://www.midwayusa.com/eproductpag...eitemid=897555
Join the NRA.
Practice, practice, practice.
Buy a decent cleaning kit. Some Hoppes #9 solvent and you are all ready to clean it. You can lube it with Mil-tec, but I prefer Slide Glide for all metal to metal.
http://www.brianenos.com/pages/slide-glide.html
As you can see from my signature, I'm a big fan of Sig and I KNOW you will love yours.
I'm not sure where you are in CA, but I'm in Ventura County and work in the Valley, so if I can help, let me know. Feel free to contact me.